Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0831
Annualized Std Dev 0.1821
Annualized Sharpe (Rf=0%) 0.4564

Row

Daily Return Statistics

Close
Observations 4110.0000
NAs 1.0000
Minimum -0.0878
Quartile 1 -0.0052
Median 0.0006
Arithmetic Mean 0.0004
Geometric Mean 0.0003
Quartile 3 0.0062
Maximum 0.1129
SE Mean 0.0002
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0007
Variance 0.0001
Stdev 0.0115
Skewness -0.1850
Kurtosis 6.3269

Downside Risk

Close
Semi Deviation 0.0083
Gain Deviation 0.0078
Loss Deviation 0.0086
Downside Deviation (MAR=210%) 0.0131
Downside Deviation (Rf=0%) 0.0081
Downside Deviation (0%) 0.0081
Maximum Drawdown 0.4556
Historical VaR (95%) -0.0180
Historical ES (95%) -0.0273
Modified VaR (95%) -0.0176
Modified ES (95%) -0.0303
From Trough To Depth Length To Trough Recovery
2011-08-23 2015-12-17 2020-07-29 -0.4556 2248 1088 1160
2008-03-18 2008-11-12 2009-09-16 -0.2941 379 168 211
2006-05-15 2006-06-14 2007-09-18 -0.2179 339 22 317
2020-08-07 2021-03-08 NA -0.1877 156 146 NA
2009-12-03 2010-02-08 2010-05-11 -0.1270 109 45 64

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2004 NA NA NA NA NA NA NA NA NA NA 0.6 -0.1 0.5
2005 -0.3 -0.7 -0.5 0.8 -0.3 -1.7 0.7 1.9 -0.8 -1.4 2.2 0.2 0
2006 0 0.1 -0.9 0.1 -2.6 2.9 1.8 -0.2 -0.5 1.9 -0.4 0.5 2.5
2007 0.6 -1 0.1 -0.6 1.4 0 0.2 1.1 0.5 -0.9 -1.2 -0.7 -0.4
2008 -2.2 0.2 -3.9 -3.1 1.1 1.4 -0.6 -0.6 1.1 -1.9 -5.8 0.7 -13.1
2009 2 -0.5 0.8 -0.4 -0.5 1.3 1.9 0.5 -1 -0.2 1.5 0.4 6.1
2010 2.3 0 1.2 0.9 0.9 -3.8 1.1 -0.3 0.8 -0.5 0 1.2 3.6
2011 0.7 1.7 -0.5 1.7 0.2 -0.7 -0.4 0.1 0.2 0 -0.3 1.1 3.9
2012 0.1 1.4 0.5 -0.3 3.9 2.7 -0.9 2.3 0.2 -0.5 -0.7 0.9 10.1
2013 0.2 -0.4 0.1 -1.2 -2 1.7 -1.1 -0.9 -2.8 -0.6 1 0.6 -5.3
2014 0.3 -0.5 -0.2 -0.3 -0.4 -0.3 0.8 -0.1 0.5 -2.2 4 -1.4 0
2015 2.2 0.1 1.7 -0.3 -0.1 -0.3 0.6 0.3 -0.1 -0.4 0.4 0 4.1
2016 1 -0.7 -0.6 1.9 -0.1 1.5 0.2 0.4 -0.3 0.6 -0.2 -0.6 3.2
2017 -0.3 -0.1 0.2 -0.9 0.1 -0.3 -0.1 0.2 -0.5 0.4 0.4 0.7 -0.3
2018 0.3 -0.2 0 -0.7 -0.5 0.4 -0.7 -0.1 -0.2 1.3 -0.2 0.2 -0.4
2019 -0.2 -1.7 -0.4 -0.7 1.3 -1.9 2.4 -0.3 0.5 0.1 0.6 0.2 0
2020 0.6 -3.6 0.9 0.6 0.5 -0.4 0.9 0.1 0.9 0.5 2.1 0.4 3.3
2021 0.9 -0.2 0.4 NA NA NA NA NA NA NA NA NA 1.2

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2004-11-18  44.4 SPY    119.  0.0013   0.0075    0.0744   0.0748    0.144   0.0383   -0.150 GLD    44.4 NA       NA     
2 2004-11-19  44.8 SPY    117. -0.0111  -0.0115    0.0556   0.0655    0.121   0.0143   -0.162 GLD    44.8  0.009   NA     
3 2004-11-22  45.0 SPY    118.  0.00480 -0.0063    0.0726   0.0691    0.137   0.0277   -0.165 GLD    45.0  0.0038  NA     
4 2004-11-23  44.8 SPY    118.  0.0015   0.00240   0.0756   0.0635    0.134   0.0361   -0.165 GLD    44.8 -0.0044  NA     
5 2004-11-24  45.0 SPY    118.  0.00240 -0.00120   0.0619   0.0661    0.122   0.0239   -0.170 GLD    45.0  0.0067  NA     
6 2004-11-26  45.3 SPY    118. -0.0008  -0.0033    0.0485   0.0619    0.117   0.0209   -0.170 GLD    45.3  0.0053   0.0205
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart